Application of mortality models

Application

• 01/18/2010: Richards S. and Currie I.: Longevity Risk and Annuity Pricing with the Lee-Carter Model
• 10/31/2009: Börger M.: Deterministic Shock vs. Stochastic Value-at-Risk - An Analysis of the Solvency II Standard Model Approach to Longevity Risk
• 12/03/2008: Richards S.: Applying Survival Models to Pensioner Mortality Data
• 05/02/2008: Ludkovski M. and Young V.R.: Indifference Pricing of Pure Endowments and Life Annuities Under Stochastic Hazard and Interest Rates
• 05/02/2008: Bayraktar E. and Ludkovski M.: Relative Hedging of Systematic Mortality Risk
• 05/28/2007: Dahl M., Melchior M. and Moller T.: On systematic mortality risk and risk-minimization with survivor swaps
• 05/12/2007: Bauer D. and Kramer F.W.: Risk and Valuationof Mortality Contingent Catastrophe Bonds
• 09/27/2006: Blake D., Cairns A., Dowd K. and MacMinn R.: Longevity Bonds: Financial Engineering, Valuation and Hedging
• 05/17/2006: Lin Y. and Cox S.: Natural Hedging of Life and Annuity Mortality Risks
• 05/03/2006: Dahl M. and Moller T.: Valuation and hedging of life insurance liabilitieswith systematic mortality risk
• 02/09/2006: MacMinn R. and Richter A.: Hedging Brevity and Longevity Risk with Mortality-based Securities
• 01/16/2006: Blake D., Cairns A. and Dowd K.: Living with mortality: longevity bonds and other mortality-linked securities